Calculate tail quantiles of compound distributions
Azamat Abdymomunov, Filippo Curti and Hayden Kane
| Year of publication: |
2019
|
|---|---|
| Authors: | Abdymomunov, Azamat ; Curti, Filippo ; Kane, Hayden |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018/2019, 5, p. 41-70
|
| Subject: | compound distributions | fast Fourier transform (FFT) | Monte Carlo | perturbative expansion correction (PEC) | single-loss approximation (SLA) | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Risikomaß | Risk measure | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.364 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012042235